The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance … portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance … the U.S. equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zero …

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance …

: International Capital Asset Pricing Model (ICAPM), Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and Multi-Prior. ICAPM … interval around its estimated value. Mean-Variance computes optimal weights by sample estimates of mean and covariance matrix …

In this paper, we analyze the impacts of joint energy and output prices uncertainties on the inputs demands in a mean-variance …

conditions and the variability can be evaluated by the mean variance of total expected rewards. For the risk-sensitive case we …

-Lehman scenario, we observe that diversification can be implemented intra-class. Secondly, in a dynamic ex-post and ex-ante mean-variance …

covariances in the costs of the different energy technologies in the mix. Mean-Variance Portfolio Theory is implemented to …

We build a market equilibrium theory of asset prices under Knightian uncertainty. Adopting the mean-variance …